It’s been several years since I’ve used CPAP (I lost 55 pounds which pretty much cured my apnea), but I was never that comfortable on my side – the pillow pressed the mask into my face or forced it sideways a bit, so I’d unconsciously end up on my back again after a while during the night.
I’m comfortable with the covers at neck level. I’d feel suffocated - perhaps unreasonably - with the covers over my face. So my shoulders would get some of the cold that snuck through from the rest of the room (me and then-wife were dedicated “cool room, warm covers” sleepers) since lying on your back you can’t tuck the covers around your shoulders completely. So wearing a shirt helped that a great deal. I don’t know why this is mysterious.